Related papers: Anticorrelations and subdiffusion in financial sys…
A trade-off between the precision of an arbitrary current and the dissipation, known as the thermodynamic uncertainty relation, has been investigated for various Markovian systems. Here, we study the thermodynamic uncertainty relation for…
The value of an asset in a financial market is given in terms of another asset known as numeraire. The dynamics of the value is non-stationary and hence, to quantify the relationships between different assets, one requires convenient…
In this work we study the diffusion annealed Langevin dynamics, a score-based diffusion process recently introduced in the theory of generative models and which is an alternative to the classical overdamped Langevin diffusion. Our goal is…
We derive various exact results for Markovian systems that spontaneously relax to a non-equilibrium steady-state by using joint probability distributions symmetries of different entropy production decompositions. The analytical approach is…
Large variations in stock prices happen with sufficient frequency to raise doubts about existing models, which all fail to account for non-Gaussian statistics. We construct simple models of a stock market, and argue that the large…
Price fluctuations in financial markets can be characterized by L\'evy's stable distribution, which is supported by the generalized central limit system. When the stable parameters were estimated from four different stock markets in long…
We analyze the price return distributions of currency exchange rates, cryptocurrencies, and contracts for differences (CFDs) representing stock indices, stock shares, and commodities. Based on recent data from the years 2017--2020, we model…
The cross-correlations between the exchange rate fluctuations of 74 currencies over the period 1995-2012 are analyzed in this paper. The eigenvalue distribution of the cross-correlation matrix exhibits a bulk which approximately matches the…
The correlation matrix formalism is used to study temporal aspects of the stock market evolution. This formalism allows to decompose the financial dynamics into noise as well as into some coherent repeatable intraday structures. The present…
This paper investigates the synthesis of distributed economic control algorithms under which dynamically coupled physical systems are regulated to a variational equilibrium of a constrained convex game. We study two complementary cases: (i)…
Understanding the stochastic behavior of currency exchange rates is critical for assessing financial stability and anticipating market transitions. In this study, we investigate the empirical dynamics of the USD exchange rate in three…
We review some approaches to the understanding of fluctuations in some models used to describe socio and economic systems. Our approach builds on the development of a simple Langevin equation that characterises stochastic processes. This…
Generative diffusion models apply the concept of Langevin dynamics in physics to machine leaning, attracting a lot of interests from engineering, statistics and physics, but a complete picture about inherent mechanisms is still lacking. In…
We consider a population of agents competing for finite resources using strategies based on two channels of signals. The model is applicable to financial markets, ecosystems and computer networks. We find that the dynamics of the system is…
Financial markets are a typical example of complex systems where interactions between constituents lead to many remarkable features. Here, we show that a pairwise maximum entropy model (or auto-logistic model) is able to describe switches…
In this chapter we review some recent results on the dynamics of price formation in financial markets and its relations with the efficient market hypothesis. Specifically, we present the limit order book mechanism for markets and we…
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Based on the…
A money transfer involves a buyer and a seller. A buyer buys goods or services from a seller. The money the buyer decreases is the same as that the seller increases. At each time step, a pair of socially connected agents are selected and…
Using equilibrium fluctuations to understand the response of a physical system to an externally imposed perturbation is the basis for linear response theory, which is widely used to interpret experiments and shed light on microscopic…
Statistical mechanics provides a useful analog for understanding the behavior of complex adaptive systems, including power markets and the power systems they intend to govern. Transaction-based control is founded on the conjecture that the…